Tracking the health of your loans is incredibly important to avoid bad surprises. Remember, all loans in DeFi must be overcollateralised, because we can't track you down if you don't pay back the lenders. The more your loan is overallateralised, the healthier it is.
If the value of the collateral (the NFT) dips below a certain point, the protocol must trigger a liquidation to guarantee the lenders are paid back. A health factor of 0 means your loan is below this liquidation threshold, and can be liquidated. A health factor approaching 100% means your Loan to value is below 10%. This means your collateral is worth 10x more than your loan.